Fiscal Policy Shocks and the Dynamics of Asset Prices: The South African Experience

Aye, Goodness C.; Balcılar, Mehmet; Gupta, Rangan; Jooste, Charl; Miller, Stephen M.; Özdemir, Zeynel Abidin

doi:10.2139/ssrn.2146947

Cited by 8 publications

(18 citation statements)

References 62 publications

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“…Moreover, they find that financial shocks have a negative impact on house prices in economies with a large public sector. Examining the impact of financial shocks on asset prices in South Africa, Aye et al (2014) reach the conclusion that government expenditure shocks affect stock prices more than housing prices. Gupta et al (2014), in their study of South Africa using the timevarying parameter VAR (TVP-VAR) for government expenditure and house prices, reveal that unexpected government expenditure shocks have almost no effect on house prices, while expected government expenditure shocks increase housing prices.…”

Section: Literature Reviewmentioning

confidence: 99%

The dynamics of house prices and fiscal policy shocks in Turkey

Yıldırım¹,

Yağcıbaşı²

2019

EKON ANAL

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This study examines the interaction between house prices and government spending, mortgage interest rates, and gross domestic product in Turkey. The ARDL bounds test approach is applied to quarterly data covering the 2010:1-2017:4 period. Findings indicate that there is a statistically significant long-run and shortrun cointegration between the two house price indexes and government spending, mortgage rates, and GDP. An increase in government spending has a statistically significant positive effect on house prices. The study also indicates that mortgage interest rate and GDP have a statistically significant effect on house prices.

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Section: Literature Reviewmentioning

confidence: 99%

The dynamics of house prices and fiscal policy shocks in Turkey

Yıldırım¹,

Yağcıbaşı²

2019

EKON ANAL

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“…While research on the linkages between economic policy and asset markets typically focus on monetary policy (Simo‐Kengne et al provide a review), the zero lower bound on interest rates after the Great Recession precipitated a recent literature that analyzes the bidirectional effect of fiscal policy and asset prices (e.g., Jaeger and Schuknecht ; Afonso and Sousa ; Tagkalakis , ; Aye et al ; Agnello and Sousa ; Gupta et al ; El Montasser et al ; Liu et al ; Ruiz and Vargas‐Silva ; Mumtaz and Theodoridis ) . These papers generally conclude that bidirectional causality exists between fiscal policy and asset prices, with expansionary fiscal policy positively affecting asset prices and increases in asset prices resulting in contractionary fiscal policy.…”

Section: Introductionmentioning

confidence: 99%

US Fiscal Policy and Asset Prices: The Role of Partisan Conflict

et al. 2018

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Fiscal policy shocks exert wide‐reaching effects, including movements in asset markets. US politics have been characterized historically by a high degree of partisan conflict. The combination of increasing polarization and divided government leads not only to significant Congressional gridlock, but also to spells of high fiscal policy uncertainty. This paper adds to the literature on the relationships between fiscal policy and asset prices in the US economy conditional on the degree of partisan conflict. We analyze whether a higher degree of partisan conflict (legislative gridlock) reduces the efficacy of the effect and response of fiscal policy on and to asset price movements, respectively. We find that partisan conflict does not significantly affect the relationships between the fiscal surplus to gross domestic product (GDP) and housing and equity returns. Rather, if important, partisan conflict affects the actual implementation of fiscal policy actions.

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“…When the quarterly data from 1966:Q1 to 2011:Q2 in South Africa is analyzed, the results confirm that fiscal spending shocks have a greater effect on stock prices than the house prices. By contrast, the revenue shocks are more influential than the spending shocks in case of the house prices in South Africa (Aye, Balcilar, et al 2013).…”

Section: Introductionmentioning

confidence: 91%

“…Therefore, there are crucial studies, which focus on the connection between the variables that belong to macroeconomics, wealth and asset returns in the literature (Sousa 2010;Afonso and Sousa 2011). Aye, Balcilar, et al (2013) state that there are limited studies, which show the process of transmitting innovations of fiscal policy to asset markets. The studies generally focus on the European and the U.S. markets Sousa 2011, 2012;Agnello and Sousa 2011).…”

Section: Introductionmentioning

confidence: 99%

Fiscal Policy Shocks and the Dynamics of Asset Prices in Turkey

Tören

Balcılar

2015

International Conference on Eurasian Economies 2015

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Asset markets and the asset prices affect financial institutions, consumers, producers and policy makers while they are making decisions. There is an important relationship not only between the financial market and banking system but also between the housing market and the credit market. Therefore, the study analyzes the impact of fiscal policy on asset prices by using beyasian vector autoregressive models. The sample data has been gathered from the Central Bank of the Republic of Turkey. The aim is to demonstrate the effects of fiscal policy shocks on stock prices and housing prices. The data covers the period between 1988:Q1 and 2014:Q2. Overall, the results confirm that the spending shocks coming from fiscal policy have a greater influence on the stock prices. In addition, the government revenue shocks are more influential on the house prices compared to the stock prices in Turkey.

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Fiscal Policy Shocks and the Dynamics of Asset Prices: The South African Experience

Cited by 8 publications

References 62 publications

The dynamics of house prices and fiscal policy shocks in Turkey

The dynamics of house prices and fiscal policy shocks in Turkey

US Fiscal Policy and Asset Prices: The Role of Partisan Conflict

Fiscal Policy Shocks and the Dynamics of Asset Prices in Turkey

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